private static double GetValue(ValueRequirement req)
{
if (req.TargetSpecification.Type != ComputationTargetType.Primitive)
{
throw new NotImplementedException();
}
using (var remoteClient = Context.CreateFinancialClient())
{
var viewDefinition = new ViewDefinition(TestUtils.GetUniqueName());
var viewCalculationConfiguration = new ViewCalculationConfiguration("Default", new List <ValueRequirement> {
req
}, new Dictionary <string, HashSet <Tuple <string, ValueProperties> > >());
viewDefinition.CalculationConfigurationsByName.Add("Default", viewCalculationConfiguration);
var uid = remoteClient.ViewDefinitionRepository.AddViewDefinition(new AddViewDefinitionRequest(viewDefinition));
viewDefinition.UniqueID = uid;
try
{
using (var viewClient = Context.ViewProcessor.CreateClient())
{
var viewComputationResultModel = viewClient.GetResults(viewDefinition.UniqueID, ExecutionOptions.SingleCycle).First();
return((double)viewComputationResultModel["Default", req].Value);
}
}
finally
{
remoteClient.ViewDefinitionRepository.RemoveViewDefinition(viewDefinition.Name);
}
}
}
private static double GetValue(ValueRequirement req)
{
if (req.TargetSpecification.Type != ComputationTargetType.Primitive)
throw new NotImplementedException();
using (var remoteClient = Context.CreateFinancialClient())
{
var viewDefinition = new ViewDefinition(TestUtils.GetUniqueName());
var viewCalculationConfiguration = new ViewCalculationConfiguration("Default", new List<ValueRequirement> { req }, new Dictionary<string, HashSet<Tuple<string, ValueProperties>>>());
viewDefinition.CalculationConfigurationsByName.Add("Default", viewCalculationConfiguration);
var uid = remoteClient.ViewDefinitionRepository.AddViewDefinition(new AddViewDefinitionRequest(viewDefinition));
viewDefinition.UniqueID = uid;
try
{
using (var viewClient = Context.ViewProcessor.CreateClient())
{
var viewComputationResultModel = viewClient.GetResults(viewDefinition.UniqueID, ExecutionOptions.SingleCycle).First();
return (double)viewComputationResultModel["Default", req].Value;
}
}
finally
{
remoteClient.ViewDefinitionRepository.RemoveViewDefinition(viewDefinition.Name);
}
}
}
private static ViewDefinition GetViewDefinition(ValueRequirement req, string name)
{
var viewDefinition = new ViewDefinition(name);
var viewCalculationConfiguration = new ViewCalculationConfiguration("Default", new List <ValueRequirement> {
req
}, new Dictionary <string, HashSet <Tuple <string, ValueProperties> > >());
viewDefinition.CalculationConfigurationsByName.Add("Default", viewCalculationConfiguration);
return(viewDefinition);
}
private static void AssertEquivalent(ViewCalculationConfiguration aVal, ViewCalculationConfiguration bVal)
{
Assert.Equal(aVal.Name, bVal.Name);
Assert.Equal(aVal.SpecificRequirements.ToList().Count, bVal.SpecificRequirements.ToList().Count);
var matchedRequirements = aVal.SpecificRequirements.Join(bVal.SpecificRequirements, a => a, b => b, (a, b) => a, new ValueReqEquivalentComparer());
Assert.Equal(aVal.SpecificRequirements.Count(), matchedRequirements.Count());
Assert.Equal(aVal.PortfolioRequirementsBySecurityType.ToList().Count, bVal.PortfolioRequirementsBySecurityType.ToList().Count);
AssertEquivalent(aVal.DeltaDefinition, bVal.DeltaDefinition);
}
public void CanGetUSDVolatilityCube(string currencyName)
{
const string cubeName = "BLOOMBERG";
var valueProperties = ValueProperties.Create(new Dictionary<string, ISet<string>> { { "Cube", new HashSet<string> { cubeName } } }, new HashSet<string>());
var viewCalculationConfiguration = new ViewCalculationConfiguration("Default",
new[]
{
new ValueRequirement("VolatilityCubeMarketData", new ComputationTargetSpecification(ComputationTargetType.Primitive, Currency.Create(currencyName).UniqueId), valueProperties)
}, new Dictionary<string, HashSet<Tuple<string, ValueProperties>>>());
var vdName = string.Join("-", TestUtils.GetUniqueName(), cubeName, currencyName);
var defn = new ViewDefinition(vdName, new ResultModelDefinition(ResultOutputMode.TerminalOutputs),
calculationConfigurationsByName:
new Dictionary<string, ViewCalculationConfiguration> {{"Default", viewCalculationConfiguration}}, maxFullCalcPeriod:TimeSpan.FromSeconds(1));
using (var remoteClient = Context.CreateFinancialClient())
{
var uid = remoteClient.ViewDefinitionRepository.AddViewDefinition(new AddViewDefinitionRequest(defn));
defn.UniqueID = uid;
try
{
using (var remoteViewClient = Context.ViewProcessor.CreateClient())
{
var viewComputationResultModels = remoteViewClient.GetResults(defn.UniqueID, new ExecutionOptions(new InfiniteViewCycleExecutionSequence(), ViewExecutionFlags.AwaitMarketData | ViewExecutionFlags.TriggersEnabled, null, new ViewCycleExecutionOptions(default(DateTimeOffset), new LiveMarketDataSpecification())));
int i = 0;
foreach (var viewComputationResultModel in viewComputationResultModels)
{
if (viewComputationResultModel.AllLiveData.Any())
{
var liveDataCount = viewComputationResultModel.AllLiveData.Count();
if (liveDataCount > 10 && liveDataCount == i)
{
var volatilityCubeData = (VolatilityCubeData) viewComputationResultModel.AllResults.Single().ComputedValue.Value;
Assert.InRange(volatilityCubeData.DataPoints.Count, 1, int.MaxValue);
Assert.InRange(volatilityCubeData.Strikes.Count, 1, int.MaxValue);
Assert.Empty(volatilityCubeData.OtherData.DataPoints);
var actual = volatilityCubeData.DataPoints.Count + volatilityCubeData.OtherData.DataPoints.Count + volatilityCubeData.Strikes.Count;
Assert.InRange(actual, liveDataCount * 0.5, liveDataCount); //Allow 50% for PLAT-1383
var pays = volatilityCubeData.DataPoints.Where(k => k.Key.RelativeStrike < 0);
var recvs = volatilityCubeData.DataPoints.Where(k => k.Key.RelativeStrike > 0);
Assert.NotEmpty(pays);
Assert.NotEmpty(volatilityCubeData.DataPoints.Where(k => k.Key.RelativeStrike == 0));
Assert.NotEmpty(recvs);
foreach (var dataPoint in volatilityCubeData.DataPoints.Keys)
{
var strike = volatilityCubeData.Strikes[GetStrikeKey(dataPoint)];
Assert.True(strike > 0.0);
}
break;
}
i = liveDataCount;
}
}
}
}
finally
{
remoteClient.ViewDefinitionRepository.RemoveViewDefinition(defn.Name);
}
}
}
public static void AssertSensibleValue(ViewCalculationConfiguration calculationConfiguration)
{
AssertSensibleValue(calculationConfiguration.SpecificRequirements);
AssertSensibleValue(calculationConfiguration.PortfolioRequirementsBySecurityType);
AssertSensibleValue(calculationConfiguration.ResolutionRuleTransform);
}
public void CanGetUSDVolatilityCube(string currencyName)
{
const string cubeName = "BLOOMBERG";
var valueProperties = ValueProperties.Create(new Dictionary <string, ISet <string> > {
{ "Cube", new HashSet <string> {
cubeName
} }
}, new HashSet <string>());
var viewCalculationConfiguration = new ViewCalculationConfiguration("Default",
new[]
{
new ValueRequirement("VolatilityCubeMarketData", new ComputationTargetSpecification(ComputationTargetType.Primitive, Currency.Create(currencyName).UniqueId), valueProperties)
}, new Dictionary <string, HashSet <Tuple <string, ValueProperties> > >());
var vdName = string.Join("-", TestUtils.GetUniqueName(), cubeName, currencyName);
var defn = new ViewDefinition(vdName, new ResultModelDefinition(ResultOutputMode.TerminalOutputs),
calculationConfigurationsByName:
new Dictionary <string, ViewCalculationConfiguration> {
{ "Default", viewCalculationConfiguration }
}, maxFullCalcPeriod: TimeSpan.FromSeconds(1));
using (var remoteClient = Context.CreateFinancialClient())
{
var uid = remoteClient.ViewDefinitionRepository.AddViewDefinition(new AddViewDefinitionRequest(defn));
defn.UniqueID = uid;
try
{
using (var remoteViewClient = Context.ViewProcessor.CreateClient())
{
var viewComputationResultModels = remoteViewClient.GetResults(defn.UniqueID, new ExecutionOptions(new InfiniteViewCycleExecutionSequence(), ViewExecutionFlags.AwaitMarketData | ViewExecutionFlags.TriggersEnabled, null, new ViewCycleExecutionOptions(default(DateTimeOffset), new LiveMarketDataSpecification())));
int i = 0;
foreach (var viewComputationResultModel in viewComputationResultModels)
{
if (viewComputationResultModel.AllLiveData.Any())
{
var liveDataCount = viewComputationResultModel.AllLiveData.Count();
if (liveDataCount > 10 && liveDataCount == i)
{
var volatilityCubeData = (VolatilityCubeData)viewComputationResultModel.AllResults.Single().ComputedValue.Value;
Assert.InRange(volatilityCubeData.DataPoints.Count, 1, int.MaxValue);
Assert.InRange(volatilityCubeData.Strikes.Count, 1, int.MaxValue);
Assert.Empty(volatilityCubeData.OtherData.DataPoints);
var actual = volatilityCubeData.DataPoints.Count + volatilityCubeData.OtherData.DataPoints.Count + volatilityCubeData.Strikes.Count;
Assert.InRange(actual, liveDataCount * 0.5, liveDataCount); //Allow 50% for PLAT-1383
var pays = volatilityCubeData.DataPoints.Where(k => k.Key.RelativeStrike < 0);
var recvs = volatilityCubeData.DataPoints.Where(k => k.Key.RelativeStrike > 0);
Assert.NotEmpty(pays);
Assert.NotEmpty(volatilityCubeData.DataPoints.Where(k => k.Key.RelativeStrike == 0));
Assert.NotEmpty(recvs);
foreach (var dataPoint in volatilityCubeData.DataPoints.Keys)
{
var strike = volatilityCubeData.Strikes[GetStrikeKey(dataPoint)];
Assert.True(strike > 0.0);
}
break;
}
i = liveDataCount;
}
}
}
}
finally
{
remoteClient.ViewDefinitionRepository.RemoveViewDefinition(defn.Name);
}
}
}
